[R-SIG-Finance] intraday data for VIX?

[Charles Evans]

Just tossing in my 2¢ here...

I work in an academic environment.  The interfaces that data vendors  
sell us are less intuitive and feature-rich than the ones that  
professional traders get.  On the other hand, academic packages are  
also much less expensive than professional packages, and our time is  
not worth as much on a currency-unit/hour basis.

One of my great frustrations is getting access to data that my  
university does not subscribe to.

If you have *any* active academic affiliation - e.g., you teach as an  
adjunct, you are a part-time student, etc. - *sometimes* you can sweet- 
talk your way into discounted or even pro-bono access to a data feed.   
I have not approached Bloomberg, per se, and your mileage may vary.

If you are trying to get free access to data, do *not* be in a hurry.   
Plan ahead and make contact with the data vendor as early as possible.

Dunno if this helps.  Ignore it, if it doesn't.  ;-)

C.Evans



On 24 May 2009, at 15:22, spencerg wrote:

>     I have no direct experience with this myself, but you can get  
> some data from Bloomberg for free.  However, professional traders  
> routinely pay for essentially instantaneous Bloomberg data.  I could  
> not find anything mentioning rates, but I remember hearing a number  
> like $1,700 per month for a single Bloomberg station.  I presume  
> that you could get "tick" data, which is a record of every trade  
> milliseconds after the transaction completes.
>
>     Hope this helps.      Spencer
>
> Michael wrote:
>> Thanks! How high frequency could it be?
>>
>> I guess RBloomberg needs a subscription?
>>
>> On Sat, May 23, 2009 at 8:40 AM, Cedrick Johnson
>> <cedrick at cedrickjohnson.com> wrote:
>>
>>> You could obtain the datasets via Bloomberg (RBloomberg).......
>>>
>>>
>>> Michael wrote:
>>>
>>>> Hi all,
>>>>
>>>> Is there a way to get recent (2009) intraday data for VIX ?
>>>>
>>>> I know a database called TAQ, but that's mostly for historical NBBO
>>>> prices up to Oct. 2008.
>>>>
>>>> Even 5-min data for VIX is good for me.
>>>>
>>>> Thank you!
>>>>
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Charles Evans
cevans at chyden.net

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